Donnelly and manager Jackie McNamara take the helm for the eagerly-awaited Scottish Cup fifth-round tie on Saturday just three days after arriving from Partick Thistle.
"These are the games that, as a player, you wanted to be involved in and now we are on the coaching side you want to be part of it," Donnelly said. "It's a great one to start off with.
"We have had two days to get the boys ready but that's football - at times it can be whirlwind and you just have to get on with it.
"We will prepare the team as well as we can for Saturday."
The pair left Firhill with the Jags second in the Irn-Bru First Division but with two games in hand on leaders Morton, who are five points ahead.
The former Celtic forward said: "It wasn't an easy decision given the time we have spent there and we have managed to build a team that we still think are capable of winning that league.
"But opportunities like this in football don't come about all the time and it's a chance for me and Jackie to work with a team with great tradition and a great Premier League club.
"And if you look at the players here there is real potential.
"It was always a place I enjoyed coming to play, Tannadice, but just sitting in the boardroom with the chairman looking at all the pictures on the wall... we are old enough to remember the '80s.
"Dundee United have a great tradition and have had a lot of great players and hopefully we can take them forward."
McNamara took over after Peter Houston rejected the offer of a new contract. Houston publicly raised fears that he would not be able to sustain his team's recent successes, which included the 2010 Scottish Cup and five successive top-six finishes in the Scottish Premier League, amid budget cuts.
But Donnelly believes he and McNamara showed at Firhill they could handle whatever was thrown at them.
"The players we have brought in there, you could probably argue one or two were discarded from other clubs," he said. "We brought players in from lower leagues and I like to think we achieved good things in the short spell we were at Partick.
"It's actually testament to the boys that we have got the chance to better ourselves and teams like Dundee United were interested in Jackie.
"I think we have shown we are capable of working with low budgets but I don't even know if Jackie really discussed budgets. We want to be working with the guys who are here.
"Every time I have seen guys like Johnny Russell and Gary Mackay-Steven they have really impressed me. There is potential here. There are quality players here."